A quasi-likelihood and adaptive Lasso framework is proposed for estimating ergodic network SDE models with nonlinear drift, stochastic volatility, and directed graphs.
On Lasso estimator for the drift function in diffusion models
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Ergodic Network Stochastic Differential Equations
A quasi-likelihood and adaptive Lasso framework is proposed for estimating ergodic network SDE models with nonlinear drift, stochastic volatility, and directed graphs.